An iterative method for nonlinear semidefinite programming with the distance information to a cone boundary
| Project/Area Number |
24710161
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
YAMASHITA Makoto 東京工業大学, 情報理工学(系)研究科, 准教授 (20386824)
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 数理最適化 / 非線形最適化 / 半正定値計画問題 / 数値計算 / 応用数学 |
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| Outline of Final Research Achievements |
Nonlinear semidefinite programs are optimization problems with a constraint on the eigenvalues of a variable matrix, and the range of applications includes optimization with uncertainty and financial engineering.
We propose an iterative method for box-constrained nonlinear semidefinite programs using the distance information from the current point to the boundary of a positive semidefinite cone.
We verified through numerical tests that the proposed method is more effective for box-constrained problems that have strongly nonlinear functions than a feasible direction method.
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Report
(4 results)
Research Products
(10 results)
